问题如下图:如何区分应该LONG还是short
选项:
A.
B.
C.
D.
解释:
NO.PZ2016082404000019 XYZ Co. is a golprocer anwill sell 10,000 ounces of golin three months the prevailing market prithtime. The stanrviation of the change in the priof golover a three-month periois 3.6%. In orr to hee its priexposure, XYZ Co. cis to use golfutures to hee. The contrasize of eagolfutures contrais 10 ounces. The stanrviation of the golfutures priis 4.2%. The correlation between quarterly changes in the futures prianthe spot priof golis 0.86. To hee its priexposure, how many futures contracts shoulXYZ Co. go long or short? Short 632 contracts Short 737 contracts Long 632 contracts Long 737 contracts ANSWER: B XYZ will incur a loss if the priof golfalls, so shoulshort futures a hee. The optimhee ratio is ρσSσF=0.86×3.64.2=0.737.\rho\frac{\sigma_S}{\sigma_F}=0.86\times\frac{3.6}{4.2}=0.737.ρσFσS=0.86×4.23.6=0.737.. Taking into account the size of the position, the number of contracts to sell is 0.737×10,00010=737.0.737\times\frac{10,000}{10}=737.0.737×1010,000=737. 737我求出来了,现在是回答long和short的问题有些障碍。 1.我的理解是因为要sell,所以担心价格下跌,所以short;担心价格上涨,long;是吗? 2.老师讲过Beta大于0就long,是不是这个只能用于股指期数,不是在这里用的。这里的h和beta的计算公式很相似,不知道能不能串用。
XYZ Co. is a golprocer anwill sell 10,000 ounces of golin three months the prevailing market prithtime. The stanrviation of the change in the priof golover a three-month periois 3.6%. In orr to hee its priexposure, XYZ Co. cis to use golfutures to hee. The contrasize of eagolfutures contrais 10 ounces. The stanrviation of the golfutures priis 4.2%. The correlation between quarterly changes in the futures prianthe spot priof golis 0.86. To hee its priexposure, how many futures contracts shoulXYZ Co. go long or short? Short 632 contracts Short 737 contracts Long 632 contracts Long 737 contracts ANSWER: B XYZ will incur a loss if the priof golfalls, so shoulshort futures a hee. The optimhee ratio is ρσSσF=0.86×3.64.2=0.737.\rho\frac{\sigma_S}{\sigma_F}=0.86\times\frac{3.6}{4.2}=0.737.ρσFσS=0.86×4.23.6=0.737.. Taking into account the size of the position, the number of contracts to sell is 0.737×10,00010=737.0.737\times\frac{10,000}{10}=737.0.737×1010,000=737. 这道题不应该是β×期货数量×10=10000 吗?
這題可以用李老師的思維講一下嗎
老师你好,这道题还是不理解为什么hee ratio不是0.86*4.2/3.6呢,不应该是现货价格变化在分母吗?